I reply to myself.
Seems to be a bug in Lazarus or the feature has not been implemented yet.
Now I tried with a single TFrame and 2 buttons on it, only standard components.
When placing such frame on a form I don't get exception but those 2 buttons don't appear.
I'll try in newest stable Lazarus and report again.
Edit: Confirmed, latest stable version 1.4.2 behaves the same way -> I am placing a new bug report.